Systems and Methods for Order Analysis, Enrichment and Execution

ABSTRACT

A preferred embodiment of the invention provides an interface providing a model-driven projection of various order execution statistics based on the exact strategy (channel, algorithm, and parameters) that is selected by a user. In at least one embodiment, the interface is linked to at least order execution system and comprises an order execution display. In one embodiment, the invention comprises a computer system operable to display a graphical user interface comprising (a) a pre-trade analysis component for displaying market intelligence information regarding one or more specified securities; and (b) a strategy selection component for displaying order execution strategies for selection by a user and that comprises (i) an order execution component for routing a selected order execution strategy to an order execution system; (ii) an interface for enabling a user to specify trading strategies and strategy requirements; and (iii) a display for displaying projected order completion information.

CROSS-REFERENCE TO RELATED APPLICATIONS

This application claims the benefit of U.S. Provisional Pat. App. No.60/668,740, filed Apr. 5, 2005. The entire contents of that provisionalapplication are incorporated herein by reference.

SUMMARY

Traders tend to focus their workflow around their Order ManagementSystem (OMS), and tend to be reluctant to leave their OMS environmentand switch focus to any stand-alone product. Therefore, in order toprovide quantitative products such as pre-trade or post-trade analyticsor access to automated trading systems to clients, there is a need tointegrate these tools directly into the user's OMS, rather than providea stand-alone solution. Traders also require decision support to helpthem choose the most appropriate execution strategy for a given order orbasket of orders. Therefore, there is a need to embed quantitativemodels and analytics directly within the trading workflow so thattraders can utilize these analytics to “audition” different executionchannels or automated trading algorithms. Traders would do so by firstusing a control panel to set strategy parameter settings (executionchannel, algorithm choice, trade horizon, urgency, and otherparameters), and then viewing the projected results (e.g., trading cost,risk, and completion time) for their trade given their current set ofparameter choices. Once the trader is happy with the final set ofparameter choices, it is preferable to allow them to immediatelygenerate an order with all of their choices clearly specified andautomatically send this order to a market or broker for execution. Thisminimizes extra steps for the trader and streamlines their workflow.

In one aspect, the present invention comprises a method and system forsecurity order execution. One preferred embodiment comprises astand-alone browser-based application that allows stock traders to exitan Order Management System (OMS), Execution Management System (EMS), orother order execution system, obtain pre-trade analysis, decide on atrading strategy, and then execute the order through one of a number ofchannels, including Manual Execution, Algorithm Execution, or DirectMarket Access. One embodiment comprises three components: Pre-tradeAnalytics, Strategy Selection Tool, and Algorithm Parameter Selectioninterfaces. Other embodiments include order monitoring and post-tradeanalysis functionality. Preferred embodiments operate via integrationwith OMS/EMS applications.

A preferred embodiment of the invention provides an interface providinga model-driven projection of various order execution statistics based onthe exact strategy (channel, algorithm, and parameters) that is selectedby a user. In at least one embodiment, the interface is linked to atleast order execution system and comprises an order execution display.

In one aspect, the invention comprises a computer system operable todisplay a graphical user interface comprising a pre-trade analysiscomponent and an strategy selection component, wherein the pre-tradeanalysis component is operable to display market intelligenceinformation regarding one or more securities; and the strategy selectioncomponent is operable to display one or more order execution strategiesfor selection by a user, and comprises an order execution componentoperable to route a selected order execution strategy to an orderexecution system; wherein the strategy selection component furthercomprises an interface for enabling a user to specify one or moretrading strategies and strategy requirements; and wherein the strategyselection component further comprises a display operable to displayprojected order completion information based on the user-specified oneor more trading strategies and strategy requirements.

In various embodiments: (1) the pre-trade analysis component is operableto receive from an order management system data identifying the one ormore securities; (2) the pre-trade analysis component is operable todisplay liquidity information regarding the one or more securities; (3)the pre-trade analysis component is operable to display performanceinformation regarding the one or more securities; (4) the pre-tradeanalysis component is operable to display execution risk informationregarding the one or more securities; (5) the strategy selectioncomponent is operable to display order execution strategy informationfor the one or more securities; (6) the strategy selection componentcomprises an interface for enabling a user to specify one or more ordertiming requirements; (7) the strategy selection component comprises aninterface for enabling a user to specify one or more order executionchannels; (8) the strategy selection component comprises an interfacefor enabling a user to send an order directly to an order executionsystem; (9) the strategy selection component comprises a basic orderinformation display; (10) the strategy selection component comprises aninterface for enabling a user to edit at least one of: order size andprice limit; (11) the interface for enabling a user to specify one ormore trading strategy requirements is operable to enable a user tochoose one or more trading strategies comprising one or more VWAP andTWAP strategies; (12) the interface for enabling a user to specify oneor more trading strategy requirements is further operable to allow theuser to specify one or more trading horizons for the user-chosen VWAPand TWAP strategies; (13) the interface for enabling a user to specifyone or more trading strategy requirements is operable to enable the userto choose one or more trading strategies comprising one or more WithVolume strategies; (14) the interface for enabling a user to specify oneor more trading strategy requirements is further operable to allow theuser to specify one or more volume participation target rates for theuser-chosen With Volume strategies; (15) the interface for enabling auser to specify one or more trading strategy requirements is operable toenable the user to choose one or more trading strategies comprising oneor more Target Strike strategies; (16) the interface for enabling a userto specify one or more trading strategy requirements is further operableto allow the user to specify one or more urgency levels for theuser-chosen Target Strike strategies; (17) the interface for enabling auser to specify one or more trading strategy requirements is operable toenable a user to specify a participation ceiling; (18) the projectedorder completion information comprises one or more of: completionpercent, execution cost, execution risk, duration, completion time, andconsumption rate; (19) the projected order completion informationcomprises residual order information; (20) the residual orderinformation comprises at least one of: residual percent, residual cost,residual risk, and total risk; (21) the projected order completioninformation comprises impact versus execution risk tradeoff information;(22) the impact versus execution risk tradeoff information is displayedas a chart; (23) the projected order completion information comprisesimpact cost information; (24) the impact cost information is displayedas a chart; (25) the system further comprises a monitoring componentoperable to display order progress and performance information; (26) themonitoring component is operable to display order and slice informationcomprising symbol, side, slice size, and strategy; (27) the monitoringcomponent is operable to display quote information and VWAP; (28) themonitoring component is operable to display real time order progressdata; (29) the real time order progress data comprises at least one of:percent filled, average price, unrealized average price, and percentconsumption; (30) the monitoring component is operable to display atrading conditions summary; (31) the trading conditions summarycomprises information regarding at least one of: volume, volatility, andspread over horizon; (32) the monitoring component is operable todisplay a chart showing price versus VWAP; (33) the monitoring componentis operable to display a chart showing actual versus expected volume;and (34) the system further comprises a view all orders componentoperable to display order progress and performance information for aplurality of orders.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 depicts a preferred pre-trade analysis screen.

FIG. 2 depicts a preferred strategy selection/execution screen.

FIG. 3 depicts another view of a preferred pre-trade analysis screen.

FIG. 4 depicts another view of a preferred strategy selection/executionscreen.

FIGS. 5 and 6 depict additional exemplary Pre-Trade and Executiondisplays, respectively.

FIG. 7 depicts an exemplary Post-Trade/Order Monitoring display.

FIG. 8 depicts an exemplary benchmark selection display.

FIG. 9 depicts an exemplary display for a portfolio trading environment.

FIG. 10 depicts an exemplary confirmation dialog display.

FIG. 11 depicts another view of an exemplary Post-Trade/Order Monitoringdisplay.

FIG. 12 depicts an exemplary order/slice information display.

FIG. 13 depicts an exemplary quote line display.

FIG. 14 depicts an exemplary progress data display.

FIG. 15 depicts an exemplary performance display.

FIG. 16 depicts an exemplary summary of trading conditions display.

FIG. 17 depicts an exemplary VWAP analysis display.

FIG. 18 depicts an exemplary performance over time display.

FIG. 19 depicts an exemplary relative performance display.

FIG. 20 depicts an exemplary trade timing display.

FIG. 21 depicts an exemplary market volume display.

FIG. 22 depicts an exemplary percent participation display.

FIG. 23 depicts an exemplary participation tracking display.

FIG. 24 depicts an exemplary price vs. VWAP display.

FIG. 25 depicts an exemplary actual vs. expected volume display.

FIG. 26 depicts an exemplary underweight/overweight analysis display.

FIG. 27 depicts an exemplary View All Orders tab/display.

FIG. 28 depicts another exemplary View All Orders tab/display.

FIG. 29 depicts another exemplary View All Orders tab/display.

FIG. 30 depicts an exemplary projection execution display.

FIG. 31 depicts an exemplary pre-trade summary for a basket ofsecurities.

DETAILED DESCRIPTION OF PREFERRED EMBODIMENTS

Various embodiments of the present invention are described below.

One embodiment (Single Stock Environment (“SSE”)) comprises acombination of two components: pre-trade analytics and strategyselection tool. Other embodiments may comprise order monitoring andpost-trade analysis capabilities. The invention preferably operates viaintegration with OMS/EMS applications.

I. Representative Workflow:

(1) An OMS user right-clicks an order in OMS blotter and chooses “Loadto Analysis and Execution Tool” from a menu of choices

(2) A preferred browser screen (see FIG. 1) is automatically spawnedwith a “Pre-Trade” tab selected, and with the order characteristics(symbol, size, side, and limit price) pre-selected.

(3) The user reviews basic market intelligence on the stock (typicalintraday trading patterns for the security, typical liquidity andvolatility patterns for the security, correlated securities, etc.).

(4) The user clicks on an “Execution” tab to switch to a strategyselection and trading screen (see FIG. 2).

(5) The user chooses an execution channel (e.g., Sales Trader, DirectMarket Access, or Execution Algorithm Server) and selects timingrequirements (see FIG. 4).

(6) The user uses the strategy parameter controls to preview possiblestrategies, before settling (in this example) on a VWAP strategy.

(7) The user uses additional strategy parameter controls such as theVWAP horizon slider, and is able to view impact of these parameterchoices on expected cost and risk.

(8) Once the user is comfortable with all of the parameter settings,they click an “Execute” button to indicate that they are ready to sendthe order to the selected execution channel.

(9) A confirmation dialog box (see FIG. 10) appears, reading back theselected channel and strategy to the user, and the user confirms with amouse-click.

(10) The order is passed back to the OMS and on to an executing broker,with all appropriate parameters specified.

Various embodiments of the invention provide:

(A) A monitoring component with extensive drill-down to interpretexecution performance.

(B) An integrated post-trade transaction cost analysis tool.

(C) A plain-English algorithm wizard that provides interactive educationon benchmark selection, strategy selection, etc.

(D) Extension of all components to allow baskets of securities (alsoknown as ‘lists,’ ‘programs,’ or ‘portfolios’) to be processed by thesame type of method. In this case, the user would select a basket ofsecurities in the OMS blotter, right-click to invoke the method, viewanalytics and data on the basket (in the aggregate and/or at theconstituent level), select a channel and parameter settings, and executethe basket.

II. Detailed Description of Application Components

A. Tab Control

See section 1 of FIG. 3. Preferably, there are two tabs: Pre-Trade andExecution. The default is Pre-Trade. Other embodiments additionallycomprise an Order Monitoring/Post-Trade tab. See FIG. 7.

B. Button Bar

See section 2 in FIG. 3. The button bar is displayed under the Pre-Tradetab. It preferably comprises a “go” button 310, a refresh button 320, an“export to pdf' button 330, a help button 340, and a preferences button350. The “go” and refresh buttons update the page with real-time data,the pdf button generates an Adobe® pdf document containing a renderingof the browser page, the help button links to an online help document,and the preferences button allows users to select default settings forcertain calculations (e.g. time frame for calculating average dailyvolume; requirements for stock universe for determining most correlatedstocks/best hedge portfolio).

When the user is in the Execution tab, the page automatically refresheswith any user action, so there is no need for the go and refreshbuttons; therefore only the help and preferences buttons are displayedunder the Execution tab.

C. Analytic Nuggets

See section 3 of FIG. 3. Analytic nuggets are displayed under thePre-Trade tab and preferably comprise such displays as historicalaverage volume; today's projected volume; today's projected remainingvolume; today's actual volume so far; order size as a percentage ofhistorical average volume; historical intraday volume profile (in15-minute buckets); descriptive statistics about the historical openingand closing auctions for the stock (N-day minimum, N-day maximum, andN-day average); recent stock performance; historical average quotedspread; historical average bid and ask depth; historical averageeffective spread; historical intraday spread profile (in 5-minutebuckets); daily volatility; historical intraday volatility profile (in5-minute buckets); beta and correlation with respect to various indices;price change over the last 10 minutes in absolute terms and as apercentage of standard deviation; market volume over the last 10 minutesin absolute terms and as a percentage of historical average 10-minutevolume; dates of recent and/or upcoming ex-dividend dates; recent and/orupcoming earnings announcement dates; top 5 most correlated stocks(drawn from some user-defined universe); best hedge portfolioconstructed from stocks in some user-defined universe; and projectedimpact and risk for various time horizons.

These displays are determined using both historical and real-time marketdata and are updated using real-time market data when either the go orrefresh button is clicked. Some displays are based directly on marketdata, while others require mathematical calculations. Volume forecastsare estimated using a proprietary volume forecasting model. Costforecasts are estimated using a proprietary transaction cost forecastingmodel. Volatility and correlation analytics and the top 5 mostcorrelated stocks are estimated using proprietary risk models. The besthedge portfolio is constructed using a proprietary portfoliooptimization tool that utilizes the proprietary risk model. These modelsand optimization techniques are not themselves the subject of theinvention, but are drawn on by the invention to produce data andanalytics displays.

The following components D through M are displayed under the Executiontab.

D. Basic Order Information

See section 1 in FIG. 4.

Description: Preferably displays the following information: Side (passedfrom OMS; not editable in some embodiments); Order Size (passed fromOMS; editable in some embodiments); and Security Name (passed from OMS;not editable in some embodiments).

E. Order Size and Limit Price Definition

See section 2 in FIG. 4.

Order Size Field: Allows user to optionally edit order size passed fromOMS, preferably with validation (must be>0, must be<=order size passedin from OMS); an edit box that allows user to specify an exact ordersize; and a dropdown menu that allows user to select size from a set ofcommon-sense slice amounts. This field preferably always displays withcomma (and accepts input with or without the comma). This also may beimplemented with a spinner control, which allows users to increase anddecrease the value by clicking up and down arrows on the side of thespinner. When size is modified (and user hits enter), relevant nuggetsare updated to reflect the new size setting. Updated components include:Analytics Tab/Position Size as a percentage of historical averagevolume; Analytics Tab/Best Hedge Portfolio; Analytics Tab/ForecastedTransaction Costs and Risk for various time horizons; Execution Tab/alltables and charts (see below).

Price Limit Field: Allows user to optionally edit the limit priceassociated with the order. Typically the price limit is set within theOMS blotter and then passed in to the device. Preferably, the PriceLimit Field includes validation (must be a number>0, no upper limit); anedit box that allows user to specify an exact price limit; and adropdown menu including: “no limit”; current bid; current ask; and somecommon-sense values such as current bid −10 cents (round to nearestnickel); current ask +10 cents (round to nearest nickel). Preferably,the Price Limit box displays with a $ sign (and will accept input withor without the $ sign). “No Limit” is an acceptable value. This also maybe implemented with a spinner control.

F. Execution Channel Menu

See section 3 of FIG. 4. Preferred menu options comprise: AlgorithmExecution and Manual Execution. When Manual Execution is selected, theorder preferably routes to a Lehman Brothers Desk without user-specifiedstrategy parameter settings. The default value for the execution channelcan be fixed based on client preferences or could be chosen through achannel recommendation algorithm that suggests a channel based on orderand security characteristics such as order size, average daily volume,volatility, market, and average spread.

For example, a simple recommendation algorithm might route any ordersthat meet any of the following criteria to the Manual Execution channeland submit everything else to the Algorithm Execution channel:

-   -   1. Order Size>25% ADV    -   2. Order Size>40% of today's forecasted remaining volume    -   3. Forecasted transaction cost of executing the order from now        until end of day is greater than 50 basis points (0.5% of the        current stock price)

G. Time Requirements

See section 4 of FIG. 4.

Start Time Control

-   -   Description: Allows the user to indicate a specific start time        for the order, if desired. Choices preferably comprise:        Now/Market Open and a specified time (Exactly).    -   Radio Buttons: Preferably, one of the two choices is selected at        all times. Default=Now/Market Open.    -   Time Edit Boxes: Default displays current time (grayed out        unless the “At Exactly” button is selected). If current        time<market open or current time>market close time, the display        defaults to market open time instead of current time.    -   T+n Box: Links the start time choice to a specific date. If time        now<market close time then choices are T+0 (default) and T+1. If        time now>market close time then box gets set to T+1 and is not        editable by the user.    -   Edit Box Validation: Minutes must be legal (from 0-59); hour        cannot be earlier than the hour component of the market open;        hour cannot be later than the hour component of market close        time. [US: 9:00-16:59 times are allowed.]

Complete By Control

-   -   Description: Allows the user to indicate a “drop-dead” time when        orders must be filled or else returned back to user. Choices        preferably comprise: No Requirement; Market Close; and a        specified time (Exactly).    -   Radio Buttons: Preferably, one of the three choices is selected        at all times. Default=No Requirement.    -   Time Edit Boxes: Default displays market close time (grayed out        unless the “Exactly” button is selected).    -   T+n Box: Links the complete by time choice to a specific date.        If time now <market close time, then choices preferably are T+0        (default), T+1, T+2, and T+3. If time now>market close time,        then choices preferably are T+1 (default), T+2, T+3, and T+4.    -   Edit Box Validation: Minutes must be legal (from 0-59); hour        cannot be earlier than the hour component of the market open        time; hour cannot be later than the hour component of market        close time. [US: 9:00-16:59 times are allowed.]

H. Strategy Definition

See section 5 of FIG. 4.

Trading Strategy Selector

-   -   Description: Allows a user to select a trading strategy. Choices        preferably comprise: VWAP; TWAP; With Volume; and Target Strike.        Each of these strategies is described briefly later in this        document.    -   Radio Buttons: Preferably, exactly one strategy choice is        selected at all times.    -   The default strategy can be fixed based on client preferences or        could be chosen through a strategy recommendation algorithm that        suggests a strategy based on order and security characteristics        such as order size, average daily volume, volatility, market,        and average spread.

The following controls preferably comprise strategy parameter settings:Horizon Slider, Participation Rate Slider, Urgency Slider, and VolumeParticipation Limit Control. The default settings can be fixed based onclient preferences or could be chosen through a settings recommendationalgorithm that suggests settings based on order and securitycharacteristics such as order size, average daily volume, volatility,market, and average spread.

Horizon Slider

-   -   Description: Only applies to VWAP and TWAP strategies. Allows a        user to experiment with different trading horizons (durations).        Horizons preferably extend until end of T+3 (if time now<market        close time) or T+4 (otherwise). This allows the user to analyze        multi-day trades or perform after-hours cost analysis.    -   Scope: inactive (and grayed) unless the VWAP or TWAP strategy        radio button is selected.    -   Control Requirements: Allows smooth “browsing” of many setting        options (minutes).    -   Minimum Value: 5 minutes    -   Maximum Value: number of minutes remaining until market        close+number of minutes in three trading days (four if current        time>market close).    -   Horizon Display: as the user drags the slider, the selected        number of minutes is continuously displayed. Formats preferably        look like this: “328 min [16:00 T+0]”; “10 min [10:32 T+0]”; and        “453 min [11:30 T+1].”

Participation Target Slider

-   -   Description: Only applies to the With Volume strategy; allows a        user to experiment with different volume participation target        rates. This target rate represents the user's desired        participation rate as a percentage of overall volume. For        example, if the desired target is 10%, then the strategy will        begin trading at the Start Time and will thereafter endeavor to        trade the order such that the shares filled for the order        represent 10% of all volume executed on the market since the        Start Time.    -   Scope: inactive (and grayed) unless the With Volume strategy        radio button is selected.    -   Control Requirements: must allow smooth “browsing” of many        Participation Target options (percentages).    -   Minimum Value: 0.25%    -   Maximum Value: 70%    -   Scale: 0.25%, 0.5%, 0.75%, 1%, 2%, integers up to 70. No need        for fine scale except values below 1 (e.g., 22.25%. is        unnecessary).    -   Edit box: serves two purposes. The user can type in a target        participation rate directly (preferably from 0.25% to 70%),        which is then automatically reflected by repositioning the        slider. The edit box preferably also provides real-time feedback        regarding the current slider position.

Urgency Slider

-   -   Description: Only applies to the Target Strike strategy; allows        a user to experiment with different urgency levels.    -   Scope: inactive (and grayed) unless the Target Strike strategy        radio button is selected.    -   Scale: Preferably five values, ranging from passive to        aggressive.

Volume Participation Limit Control

-   -   Description: Allows a user to place a participation ceiling on        the order. This ceiling defines the user's maximum participation        rate as a percentage of overall volume traded. For example, if        the Volume Participation Limit is set at 10%, then the strategy        will begin trading at the Start Time and will thereafter        endeavor to constrain trading so as to prevent the shares filled        for the order from exceeding 10% of all volume executed on the        market since the Start Time.    -   Enabled/Disabled: Full nugget is grayed out when the With Volume        strategy is selected, and is active when any other strategy is        selected. Also, the edit box should be grayed out whenever “No        Limit” is checked, and enabled whenever “Maximum Rate” is        checked.    -   Radio Buttons: No Limit (default) or Maximum Rate. Preferably,        one of these two buttons is specified at all times.    -   Maximum Rate Field: edit box. Valid percentages are 1% to 99%        (integer points only). The “%” sign is displayed in the label of        the edit box, so users can type in just the integer value.

I. Projected Execution Statistics Table

See section 6 of FIG. 4.

Description: Projected Execution Statistics table shows projectedcompletion statistics based on order attributes, channel, and strategyparameters. As the user adjusts the strategy parameter settings, thetable dynamically updates using to reflect the user's currentselections. The projected completion statistics may be supplied bytransaction cost and risk models known in the art.

Statistics displayed for the executed (completed) portion of the orderpreferably comprise:

-   -   Completion %: Projected % of order that will be executed by the        specified Complete By time.    -   Execution Cost: Projected impact cost in basis points.    -   Execution Risk: Projected execution risk (standard deviation of        cost) in basis points.    -   Duration: Projected trade horizon.    -   Completion Time: Projected trade horizon end time.    -   Consumption Rate: Projected participation rate as a percentage        of overall market activity during trade horizon.

For certain orders, the model forecasts that the order will not finishby the time specified under the Complete By control component. In thiscase, the right side of the table displays statistics on the residual(unfinished) portion of the order. These residual statistics preferablycomprise:

-   -   Residual %: Projected residual position (% of order) at the        specified Complete By time.    -   Residual Cost: Projected cost of liquidating residual position        over a one-day time horizon.    -   Residual Risk: Projected price risk of residual position        (including the risk incurred during both the one-day liquidation        horizon and the original duration).    -   Total Risk: Projected total cost of executing the entire order        (including both completed and residual portions).

J. Impact vs. Execution Risk Tradeoff Chart

See section 7 of FIG. 4.

Description: Chart shows expected impact cost and execution risktradeoff for various execution horizons. The line is formed by graphingthe expected cost and risk (as provided by the proprietary transactioncost forecasting model) of executing the full order size (as defined bythe Order Size field) over various time horizons from 0 minutes out to 8days. A point on the chart indicates the expected cost and risk of theorder given current channel and strategy settings, corresponding exactlywith the Projected Execution Statistics table. Additional functionalitycan be added in the form of marks on the graph representing values fromdifferent combinations of strategy parameters that have been previewed.

K. Impact Cost Chart

See section 8 of FIG. 4.

Description: Chart shows expected impact cost in basis points forvarious executed quantities over the projected execution duration givencurrent channel and strategy settings. For example, if the Durationfield in the Projected Execution Statistics Table were currently reading3 hours, then the Impact Cost Chart would show the projected executioncost (from the proprietary transaction cost forecasting model) for eachvarious order sizes ranging from much smaller than the order size tomuch larger than the order size.

L. Execute Button

See section 9 of FIG. 4.

Execute Button: Preferably generates an order back to OMS with desiredchannel, strategy, and parameters filled into the appropriate FIXfields, and generates a pop-up confirmation window (see FIG. 10) thatreads the current channel and strategy choices back to the user and getstheir consent.

Once the user confirms the order, the order is communicatedelectronically to Lehman Brothers with all channel, strategy, andparameter settings intact. This allows the user to immediately executethe selected strategy, which is preferable in that it saves time andmouseclicks, and thus streamlines the user's workflow.

M. Help and Preferences Buttons

See section 10 of FIG. 4.

Help Button: Links to an online help document.

Preferences Button: Allows users to select default settings for certaincalculations (e.g. time frame for calculating average daily volume;requirements for stock universe for determining most correlatedstocks/best hedge portfolio).

Monitoring Tab

As mentioned above, another embodiment also provides a post-trade/ordermonitoring display. See FIG. 7.

Real-time monitoring allows a user to track progress and performance inreal time. A preferred Post-trade analysis display preferably shows T+0and T+1 performance analysis versus all major benchmarks. Visualizationtools comprise graphical tools that allow a user to browse an order inthe context of other market activity. Preferred displays compriseRelative Performance; Price Impact Analysis; and Market AdjustmentBreakdown.

Adding monitoring capabilities into an embodiment of the Single StockEnvironment (SSE) (discussed above) may involve three components:

(1) “Monitoring” Tab: an extra tab in SSE that contains single-orderperformance and completion stats with graphical drill-down tools.

(2) “View All Orders” Tab: a lightweight blotter-like screen throughwhich users can view all orders they have sent to Lehman so far today.This screen will provide brief performance and progress statusinformation for all orders, with the ability to drill down into any oneorder (by pulling up the SSE).

3) Support for Secondary Actions from SSE: extension of the Executiontab and the strategy selection tool to cover cancel and cancel/replacefunctionality (e.g., how will a midstream correction to a moreaggressive urgency level affect the expected completion time andperformance, given that a portion of the order has already filled.)

In addition to these components, the existing two tabs of SSE preferablyare updated to pull the order information and quote line into the tabstructure to match the new tabs. This is especially recommended for the“View All Orders” tab.

Monitoring Tab

The Monitoring Tab preferably is the third tab in one embodiment of theSSE tab structure. Note that when order end time has passed, the name ofthe tab should switch to “Post-Trade” (as is shown in FIG. 11). FIG. 11displays the Monitoring Tab, which preferably comprises consists of sixcomponents.

The Monitoring Tab operates at the slice order level. If the user hassliced up his order and executed in pieces, then the monitoring tab isused to drill down into each slice. Each slice can have its own size,channel and strategy, parameters, and performance data. Throughout thefollowing Monitoring Tab discussion, any mention of order is intended torefer to the slice order. Similarly, order start time refers to thestart time associated with the slice order.

Order/Slice Info (see FIG. 12) preferably displays the followinginformation: (1) Symbol, (2) Side, (3) Current time, (4) Full companyname, (5) Order information (6) (size, etc), (7) Channel, and (8)Parameters.

If the slice represents the complete parent order originally loaded intoSSE, then there is no need to display “(100% of original order)” in the“Order” line. Also, if the order was not initiated in SSE, then parentorder information is likely unavailable and slice % won't be displayed.

For orders sent to the LMX channel, strategy information is distilledinto text:

VWAP: “VWAP from <start time>-<end time>”

TWAP: “TWAP from <start time>-<end time>”

With Volume: “With Volume: Participate at <participation rate>%”

Target Strike: “Target Strike: <urgency level>urgency”

CAT: “Conditional AutoTrader”

Parameter information preferably includes at least two parameters: pricelimit and volume limit.

Quote Line may be organized into columns. See FIG. 13. “Last” columncontains last price and % change since open. “Bid” and “Ask” containbid/ask quoted prices and sizes. “Price Data” containsopen/high/low/close prices. And “VWAP” contains the running VWAP for theday.

Progress Data (See FIG. 14)

This component preferably displays the following information: (1)Current time, (2) % complete (shares filled for slice/slice targetsize), (3) Average price for slice, (4) Last price (from quote data),(5) Unrealized avg price=(avg price×filled shares+last price×unfilledshares)/target size, and (6) % Volume=filled shares/total market volumefrom start time to MIN(end time, current time).

Performance

This component preferably is a grid displaying performance data relativeto various benchmarks. (see FIG. 15). Performance is displayed in cents,basis points, and dollars. For benchmark price Y, dollar performance iscomputed as follows: (Y−avg price)×(side=buy? 1:−1)×filled shares. Thiscan be converted to cents (multiply by 100/filled shares) or basispoints (multiply by 10000/[filled shares×avg price]). Benchmarkdefinitions are as follows:

-   -   Horizon VWAP=VWAP measured from order start time to MIN(order        end time, current time). (=NA if current time<order start time;        if end time=market close time.    -   Full-Day VWAP=VWAP measured from market open time to now. (=NA        if market not yet open.    -   Market Open=today's opening price for the stock. (=NA if market        not yet open).    -   PRISE-Adjusted Market Open=Market Open+PRISE Cost×(side=buy?        1:−1), where PRISE Cost is the PRISE cost estimate for the order        (see below).    -   Market Close=today's official closing price (=NA if current        time<market close time, or if closing price has not yet been        announced).    -   Horizon Start=arrival price, the midpoint of the bid-ask spread        at order arrival time (=NA if market is not yet open, or if time        now<order start time.    -   PRISE-Adjusted Horizon Start=Horizon Start+PRISE Cost×(side=buy?        1:−1), where PRISE Cost is the PRISE cost estimate for the order        (see below).    -   Horizon End=midpoint of the bid-ask spread at order end time        (=NA if time now<order end time; note that for Target Strike and        With Volume, order end time is overwritten by the time at which        the order is completed).

PRISE estimates are presented in appropriate units (bps, cents, or $)and are calculated by querying Lehman Brothers' proprietary PRISE(Pre-Trade Impact Shortfall Estimation) model and passing in the symbol,size, and time horizon. For the purposes of PRISE, time horizon is a %of the day in “volume time”: the percentage of full-day volume that istypically executed over the interval from MAX(order start time, marketopen) to MIN(order end time, market close). If end time>=market close,the closing auction print is included. For With Volume and Target Strikestrategies, the end times used for the PRISE calculations are not theuser-specified expiration (“must complete”) times; they are theestimated completion times (from the “execution” tab). It is preferableto re-estimate the estimated completion time periodically for WithVolume orders.

The Include Unrealized checkbox (unchecked by default) allows the userto estimate unrealized PNL using the same component. If this box isunchecked, everything behaves as shown above, except that unrealizedaverage price [=(avg price×filled shares+last price×unfilledshares)/target size] is computed. This unrealized average price is thendisplayed at the top of the table (with the label “Unrealized AvgPrice”) and then all performance data is computed using unrealized avgprice in place of avg price. The formulas themselves preferably do notchange at all.

Summary of Trading Conditions

This component displays volume, spread, and volatility information forthe lifespan of the order (see FIG. 16). Expected values shouldrepresent expectations prior to the start of the trade of prevailingconditions over the expected order horizon—expectations that would havebeen used as inputs into the PRISE model when computing cost and riskestimates. For volatility and spread, these can be lifted directly outof the intraday spread and volatility profiles on the pre-trade (SSA)tab.

Actual volume is the total composite share volume from order start timeto MIN(now, order end time, market close time). Actual spread andvolatility are averaged values over the same time horizon. The deltacolumn=(actual−expected)/expected.

If the order is in progress, the expected volume needs to be adjusted sothat it's computed over the time interval from order start time untilnow. For example, an order is placed in VWAP at 10 am with a 4 pmexpiration time. The expected market volume over this 6 hour interval is10 million shares. If the user checks on the order at 10:05 (after40,000 shares have printed on the market), the expected volume shouldn'tread 10 million, it should be equal to the pre-trade expectation for theinterval 10:00-10:05. Note that this is also an issue for spread andvolatility, but those are presented as averages (not in cumulative termslike volume).

For trades in Target Strike or With Volume, the time horizon used tocreate actual and expected volume should be adjusted for cases where theorder is completed ahead of the user's specified end time. For example,an order is placed in Target Strike at 10 am with a 4 pm expirationtime. The expected market volume over this 6 hour interval is 10 millionshares. If the order completes at 11 am, then the time horizon forexpected and actual volume should be 10-11 am, not 10 am-4 pm. Again,this is also an issue for spread and volatility, but it's not asimportant since those are presented as averages (not in cumulative termslike volume).

Even though a volume model may be used to dynamically update volumeforecasts based on up-to-the-second market data, the Expected Volumevalue should preferably be calculated as the expectation of marketvolume given information as of the start of the trade.

Visualization Panel

This panel (see FIG. 17) preferably comprises 3 tabs containing 3 graphsper tab. All graphs share the same X-axis: time.

The time horizon displayed on all nine graphs preferably displays thefull order lifespan plus pre- and post-trade periods.

Specifically, graph start time (GST)=MAX(market open time, slice orderstart time−30 min) and graph end time (GET)=MIN (market close time,slice order end time+30 min). Round both GST and GET to the nearestround 10-minute number. Example: order start and end times are 10:32:01and 11:03:52, so GST=10:00 and GET=11:30. For Target Strike and WithVolume orders that have completed trading, order end time preferably isset equal to the actual completion time; otherwise, the order end timeis left as whatever the user entered for expiration time (“mustcomplete” time). If the monitoring tab is viewed during the trade, thex-axis scale preferably is run all the way out to the GET, but the dataseries is only plotted out to the current time, leaving the unrealizedportion of the time horizon blank. If order end time is>=market closetime then the time bin that includes the market close time preferably isextended to include any closing auction volume.

Whenever GET−GST>180 min, any bucketed variables (displayed in bars)preferably are displayed in 10-min buckets. Otherwise, 5-min buckets areused.

Visualization Panel: Performance Tab

Graphs #1 and #3 on this tab preferably are driven off a benchmarkchoice, which is provided via a drop-down menu. All of the benchmarkoptions on the Relative Performance nugget are available: Horizon VWAP,Full-Day VWAP, Market Open (PRISE-adjusted and regular), Market Close,Horizon Start (PRISE-adjusted and regular), and Horizon End. Allbenchmarks are computed as described in the Relative Performance nuggetsection above. If the benchmark value is NA, a blank graph is displayed.The default benchmark is Horizon Start.

Graph #1: Performance Over Time

This graph (see FIG. 18) shows shortfall [(side=buy ? −1:1)×(averagefill price minus the benchmark price)] over the lifespan of the order.The line should look like a jagged staircase, with each stairrepresenting a recalculation of avg price triggered by a fill. Theshortfall series is graphed at a 1-minute granularity. The area betweenthe shortfall line and 0 preferably is colored green if shortfall ispositive (beating the benchmark) and red if shortfall is negative. Theseries should only be plotted in the portion of the graphed time horizonwhere the order was active. (No pre-start/post-finish.) Note that thetwo VWAP benchmarks change over time; slippage over time should berelative to the minute-by-minute VWAP value, not relative to the current(or final) VWAP value. Graph title preferably reads “Performance vs<benchmark name> Over Time.” Hovering the mouse over a point on thegraph displays the time and shortfall value for the time represented bythat point.

Graph #2: Relative Performance

This chart (see FIG. 19) has two sections. The top displays three seriesat 1-min granularity: stock price, market index, and industry (sector)index. All three series are normalized by dividing by the value at thestart of the trade and are displayed in % (with 100% being the baselinevalue—preferably indicated with a horizontal line). The bottom sectionshows the # of shares filled by the strategy across time, bucketed into5- or 10-min buckets (as previously described). This series will be 0for the pre-start and post-finish periods in which the order was notworking.

The market index selected for the comparison preferably is a broadmarket index representing the country.

Graph #3: Trade Timing

This graph (see FIG. 20) shows a bold horizontal line representing thebenchmark price and a jagged price line that tracks the symbol priceacross time. The price series is graphed at a 1-minute granularity. Insections where the price line is above the benchmark, the area betweenprice and benchmark preferably is colored green (sell orders) or red(buy orders), and vice versa for sections where price is belowbenchmark. This graph need not be very tall, and may be compressedvertically. In the case of the two VWAP benchmarks, the bold horizontalline preferably displays the current (or final) VWAP, not the evolvingVWAP over time. The title preferably indicates which benchmark isselected and the current benchmark value. A distinction preferably ismade between the pre-start and post-end time periods and the periodwhere the order is active. Hovering the mouse over a point on the graphdisplays the time, the price, and the benchmark value for the timerepresented by that point.

Visualization Panel: Participation Tab

Graph #1: Stacked Bar

This display (see FIG. 21) shows bars indicating market volume in eachbucket (in # shares) with a shaded/colored subsection of each bar toindicate how much of market volume the order accounted for.

For example, in the first bar in FIG. 21, order fills were 15,000 andoverall market volume was 69,000. (Note that pre-start and post-endsections of time also may be displayed; in FIG. 21, these would beall-grey bars.)

Hovering the mouse over a bar on the graph displays the time bucket, themarket volume for the bucket, and the quantity filled for the orderduring the bucket (in shares and % of overall) for the bucketrepresented by the bar.

Graph #2: Percent Participation

There are three displays on this graph (see FIG. 22). First, a series ofbars showing % participation by time bin is displayed. Each bar showsthe number of order shares filled in the bin divided by the total marketvolume in the bin. These displays preferably are only plotted for theperiod in which the order was active, not pre-start or post-finish.

The second display (the green line 2220) shows actual cumulativeparticipation rate. For bin i, this cumulative rate is just the sum oforder fills in all bins through bin i, divided by the sum of marketvolume for all bins through i. Preferably, bin length for this series is1 minute, (to display at 1-minute granularity).

The third display shows the desired participation rate (the solid blackline 2230). This is only displayed if the order is an LMX With Volumeorder. Typically, this is just a solid horizontal line. However, if theuser corrects the target participation rate, that is represented with adiscontinuous jump to a new plateau. (For non-With-Volume orderscorrected to With Volume, there would be a missing section in the linerepresenting the non-With-Volume portion of the time horizon).

Hovering the mouse over a bar on the graph displays the time bucket,percent participation rate during the bucket, and the cumulative percentparticipation for the bucket represented by the bar.

Graph #3: Participation tracking vs PNL

There are two displays shown on this tab (see FIG. 23). The top issimilar to Graph #3 on the performance tab (see FIG. 20), showing pricevs. a bold horizontal line representing the benchmark value. Areabetween the two lines is colored based on order side (as described inthe description of Graph #3 from the performance tab). Benchmark isselected from a drop-down in the performance tab. The second displayshows the difference between actual bin participation rate and thetarget participation rate (as described regarding Graph #2 for thissection) (FIG. 22) and is color-coded based on the color scheme of thefirst display in the graph. See FIG. 21.

If the strategy is not With Volume then there is no target participationrate. In this case, the average participation rate (the right-most valueof the green line in Graph #2 above) is used as the target rate.

Hovering the mouse over the graph has different behavior for the top andbottom portions of the graph. Mouse over on the top portion of the graphindicates time, price, benchmark name, and benchmark value. Mouse overon the bottom portion shows the time bin and the relative participationrate (e.g., “+2.3%”).

Visualization Panel: VWAP Tab

Graph #1: Price vs VWAP

This display (see FIG. 24) is similar to Graph #3 on the performancetab, except that the benchmark (indicated by the thick horizontal line)is always the current value of VWAP for the order horizon. The priceseries is plotted at a 1-min granularity, and the area between the lineand the horizontal benchmark line is color-coded as in Graph #3 on theperformance tab. Hovering the mouse over a point on the graph displaysthe time, the price, and the benchmark value for the time represented bythat point.

Graph #2: Actual vs Expected Volume

This graph (see FIG. 25) shows the typical (expected) volume smile andthe actual volume pattern (in terms of actual fills). The solid line(expected volume) shows the typical volume pattern at a 1-minutegranularity. The line is adjusted by multiplying by the number ofminutes in each time bin (5 or 10) so that the units are consistentbetween the two displays. Unlike all other data series in the variousgraphs, if the graph is displayed mid-trade both the past and futureportions of the black line should be plotted. The pre-and post-tradeportions of the black line also are displayed, normalized so that theseportions are comparable to the active portion of the time horizon. Thismeans that the sum of the plotted expected volume values across theorder time horizon (the active portion of the plotted horizon) is100%×[# minutes in each time bin]. The values in the pre-start portionare normalized so that their sum is in the proper proportion to the sumof the values in the active portion, and likewise for the post-finishportion. If the order end time>=market close, then the 1-minute valuefor the last minute of market activity includes closing auction volume.

The grey bars show the ratio of market volume printed during bin tototal market volume printed within the active portion of the order. Ifcurrent time<order end time then the second term (total market volumeover full order horizon) is forecast. This forecast may be calculated as[market volume printed so far in the active time horizon]+[typicalvolume from now until end of active horizon]. When the order horizon iscomplete, the sum of bars for the active portion of the time scale is100%. If the order horizon is not yet complete, the bars displayed willsum to less than 100%. Grey bars for pre- and post-order periods alsoshould be displayed, using the same normalization process as for theexpected smile, normalizing the bars in the pre- and post-order portionsso that their sum is in the proper proportion to the sum of the bars inthe active portion.

Hovering the mouse over a bin on the graph shows the time bin, the % ofthe target size filled in the bin, and the average of the values of the1-min expected volume series during that time bin. Example:“Time=10:20-10:30; Expected Volume Smile=4.5%; Realized VolumeSmile=2.6%.”

Graph #3: Underweight/Overweight Analysis

The bars in this graph (see FIG. 26) display the difference between thetwo series in Graph #2 above. See FIG. 25. (Since the line in Graph #2is plotted at 1-min granularity, the plotted 1-min values are averagedacross each time bin and then the average value is compared to the barvalue. For Graph #3, negative bar values indicate that expected volumesmile value (in %) was less than the actual volume smile value,suggesting that a VWAP strategy would have underweighted the binrelative to a hypothetical strategy that could perfectly forecast thevolume smile and spread its trades accordingly.

The bars are color-coded as follows: for buy orders, any bars for binswhere the bin VWAP<the overall VWAP for the period are coded in green,and bars for bins where VWAP>overall VWAP are coded red. Vice versa forsells.

Hovering the mouse over a bar on the graph shows the time and theunder/overweight % for the bar.

Parent Orders vs Slice Orders

The first embodiment described above relates to parent orders. Once theuser clicked “Execute to Lehman” the SSE reached the end of its scope.With monitoring, latent orders (not yet sent to Lehman) need to coexistwith orders already sent, and a hierarchical data structure is neededwithin SSE to track parent orders that have been carved up into multipleslices. In order to accommodate this added complexity, it is useful tonote an important distinction between parent and slice orders.

Parent orders represent any orders loaded into the SSE. They could be(a) orders loaded from an OMS, (b) orders loaded directly into SSE, or(c) orders sent via any system other than SSE but which are thenmonitored using SSE. Slice orders (“executed” orders or “allocated”orders) are orders actually sent to Lehman Brothers. For the purposes ofSSE, a parent order record is kept for every order loaded into SSE and aslice order record is kept for every order actually sent to LehmanBrothers for execution. Note that the only orders that are known toLehman's orders databases are the slice executions.

Example 1: User loads 100,000 F into SSE from their OMS. This creates anew parent order record (100,000 F). The user does pre-trade analysisand then executes all 100,000 shares to Lehman's desk using the “Executeto Lehman” button in SSE. As the “real” order is routed to Lehman, a100,000 slice order record is created within the SSE data structure. SoSSE has two order records: a 100,000 parent and a single associated100,000 slice.

Example 2: User loads 100,000 F into SSE from the user's OMS. Thiscreates a parent order record (100,000 F). The user does pre-tradeanalysis and then executes a 10,000 share slice. Now a 10,000 sliceorder record is created and the parent order is updated to reflect thatresidual size has dropped to 90,000. The user executes a second 10,000share slice. Now the SSE data structure contains a parent order recordwith residual size of 80,000 and two associated 10,000 slice orderrecords.

Example 3: User sends 30,000 shares directly to Lehman via an OMS, thenlater accesses SSE to monitor the order. There is now a 30,000 shareparent order record and a 30,000 share associated slice order record.

In the remainder of this description, “parent order” and “slice order”are used to refer to the parent and slice order records within SSE.“Order” does not mean the actual order routed to Lehman Brothers andstored within Lehman's various order databases. The “current order” isthe order record (parent or slice) used as a basis for the content onthe Pre-Trade, Execution, and Monitoring tabs. In other words, theExecution tab does not exist independently of an order; every time theExecution tab is displayed a specific order record is implicated—the“current order”—to which all data on the tab refers. The current ordercan be a parent order record or a slice order record.

Both parent and slice orders can be viewed using the four tabs. Theseare described below individually with nuances for that tab related tothe parent/slice distinction.

Pre-Trade Tab

The Pre-Trade tab is basically the same whether the current order is aparent order or an associated slice order. For parent orders, the useris able to choose whether the position size shown (and used for costcalculations, etc.) is the total target size or the residual size.

Execution Tab

When the current order is a parent order, the target size displayed onthe Execution tab and used for calculations is the residual size, notthe total target size of the parent order. This is to preventoverexecution. When a user clicks “Execute,” a slice order is createdfor the selected slice size, the residual size of the parent order isdecremented by the same number of shares, the current order is set tothe new slice order, and the user is moved to the Monitoring Tab. Forparent orders with zero residual size, the Execution tab is greyed outand inaccessible.

When the current order is a slice order, the Execution tab is primarilyused to preview and enact secondary actions (cancel and corrections).This implies a number of changes to the Execution tab for slice orderswhich are described below.

Monitoring Tab

The Monitoring Tab is presented differently depending on thecharacteristics of the current order. For parent orders with no sliceorders, the Monitoring tab is greyed out and inaccessible. For parentorders with exactly one slice order, the Monitoring tab display mirrorsthe Monitoring tab display for the associated slice order. Otherwise(for parent orders with multiple slices), the Monitoring tab contains alist of all of the associated slice orders using the View All Orders tabformat (see FIG. 27). The four buttons from the View All Orders tab arehere as well. All column definitions, calculations, functionality forbuttons, and double-click behavior are the same as described regardingthe View All Orders tab (discussed below).

View All Orders Tab

While the information displayed on the other tabs is always linked to aspecific parent or slice order, the View All Orders tab is independentof order. In other words, this tab is the same regardless of which orderis currently being viewed in SSE.

View All Orders Tab

The View All Orders tab is a lightweight tool with two purposes: (1)provide a brief spreadsheet-style summary of progress and performancefor all orders in the system; and (2) serve as a portal to the SSE,allowing traders to choose an order and then drill down into SSE formore analysis. FIG. 28 shows an illustration of the View All Orders tab.

Aggregate Statistics View

This display presents aggregate data broken down by side (buys, longsells, short sells), as well as a totals row. Data columns preferablyinclude:

Default Columns

-   -   Shares    -   % Weight [=% of total USD Value]    -   USD Value    -   Filled (shares)    -   % Filled [=USD Value Filled/USD Value]

Additional Columns (optional, default=hidden)

-   -   Orders    -   USD Filled    -   Unfilled (shares)    -   Average Slippage in cents, $, or bps vs various benchmarks:        -   Horizon VWAP        -   All-Day VWAP        -   Horizon Start Price [midpoint at time when order commenced            trading]        -   Prey Close        -   Today's Close [=NA if market still open]    -   Avg % ADV

Orders View

This display presents data broken out by each slice order. (Multiplerows with the same ticker are possible.) Rows preferably can be selectedusing the standard MS Windows protocol (click on one row; click+drag orclick+shift/click to select multiple consecutive rows; ctrl/click to addrow to selection). Double-clicking a row brings up the Monitoring Taband sets the current order to the slice represented by the selected row.

Rows may be color-coded so that orders actively working are codeddifferently from orders that have completed. This may be configurablefrom the preferences screen.

Data columns include the following:

Default Columns

-   -   Symbol    -   Side    -   Shares    -   Strategy [see below]    -   % Filled [=Shares Filled/Total Shares]    -   Slippage [see below]    -   Start Time

The “Strategy” column provides a quick text representation of thestrategy used to trade the order, as follows:

-   -   DMA Orders: “DMA”    -   Desk Orders: “Manual”    -   LMX Orders:        -   VWAP: “VWAP to <end time>”        -   TWAP: “TWAP to <end time>”        -   With Volume: “With Volume/<participation rate>%”        -   Target Strike: “Target Strike/<urgency level>”        -   CAT: “Conditional AutoTrader”

The “Slippage” column provides a view into benchmark slippage. Users areable to use a preferences screen to choose a benchmark for each strategyand the units (BPS, cents, $). By default, units are set to bps, a VWAPbenchmark is used for VWAP and TWAP strategies, and a horizon startprice benchmark (see the relative performance section above) is used forother strategies. The benchmark is named in the column (“[V]” forhorizon VWAP, “[VF]” for full-day VWAP, “[IS]” for horizon start, “[O]”for open, and “[C]” for today's close).

Additional Columns (optional, default=hidden)

-   -   Wave ID [to help identify slice]    -   Filled (shares)    -   USD Value    -   USD Filled    -   Unfilled (shares)    -   Currency    -   FX    -   % ADV    -   Avg Price    -   Slippage in cents, $, or bps vs various benchmarks:        -   Horizon VWAP        -   All-Day VWAP        -   Horizon Start Price [midpoint at time when order commenced            trading]        -   Prey Close        -   Today's Close [=NA if market still open]    -   1-Day Change ($ change in stock price vs previous close)    -   1-Day % Change (1-Day Change in %)    -   Mkt Volume (today's volume)    -   Status (ACK, Working, Filled, CXLed, others?)    -   % Cons (Filled/market volume during order lifespan)    -   Exp Complete [expected completion time, see Execution tab]    -   Average Daily Volume (ADV)    -   Average Spread    -   60-day Daily Volatility

Action Bar

The action bar preferably comprises the following buttons:

-   -   Cancel: cancel order(s) associated with any selected row(s).        Button only available if at least one row is selected in Orders        View.    -   Cancel All: cancel all orders in Orders View.    -   Correct: switch to Execution Tab and set current order to the        selected slice order. Button only available if exactly one row        is selected—not 0, not>1.    -   Drill Down: switch to Monitoring Tab and set current order to        the selected slice order. Button only available if exactly one        row is selected—not 0, not>1.

Viewing ‘Parent’ Orders

Matters get more complicated when either or both of the followingsituations occurs:

-   -   A user has loaded an order into SSE from an OMS (or directly)        and then executed a slice from SSE that represents only a        portion of the order.    -   A user accesses the View All Orders tab at a time when there is        at least one order that has been loaded but has not yet been        sent to Lehman.

When either scenario occurs, the View All Orders tab needs to do doubleduty, serving as a blotter for all executed slice orders while alsoallowing the user to view all of the parent orders that have beenloaded. Say, for example, that the user has executed portions of threeparent orders. The user may wish to monitor or correct working sliceorders (from the slice order blotter) or to return to a parent order togenerate a new slice (using the parent orders blotter). To accommodatethis, when either of the above scenarios occurs, the View All Orders tabchanges slightly (see FIG. 29). The top section (aggregate data) expandsto distinguish between parent orders (i.e., orders loaded from the OMS)and slice orders (i.e., orders actually executed to Lehman). A radiobutton control 3010 allows users to switch between two detailed orderviews (one for parent orders, one for executed orders). The executedorders detailed view is the same as the regular Orders view describedabove. The parent orders view adds some additional columns. All of thesechanges are explained in detail below.

If a user only uses SSE to monitor orders that have been executed usinganother channel, or if the user loads orders into SSE and immediatelyexecutes the full target size, then there is no need to provide a viewof parent orders, so the View All Orders tab appears as described above.

Viewing “Parent” Orders—Changes to Aggregate Statistics View

As shown in FIG. 28, the display is divided into two sections: “Total”(all orders loaded into SSE) and “Allocated to Lehman Brothers” (justwhat's actually been executed). As discussed above, the columnsdisplayed are configurable through a preferences screen. Availablecolumns are described below.

“Total” Section Columns

[Column values pertain to parent orders loaded in from OMS]

Default Columns:

-   -   # [number of orders]    -   Shares    -   USD Value    -   % Weight

Additional Columns:

-   -   % Filled [% of total shares filled]    -   % USD Filled [% of total USD filled]    -   Unallocated [shares] “Executed” Section Columns

[Column values pertain to only orders “allocated” (sent to Lehman)]

Default Columns:

-   -   Shares [allocated]    -   % Alloc [shares allocated/total shares]    -   USD Value [allocated]    -   Filled (shares)    -   % Filled [filled shares/allocated shares]

Additional Columns:

-   -   % Weight [USD allocated by side/total USD allocated]    -   Orders [Allocated]    -   USD Filled    -   Unfilled (shares)    -   Average Slippage in cents, $, or bps vs various benchmarks:        -   Horizon VWAP        -   All-Day VWAP        -   Horizon Start Price [midpoint at time when order commenced            trading]        -   Prey Close        -   Today's Close [=NA if market still open]    -   Avg % ADV

Viewing ‘Parent’ Orders—Changes to Orders View

When the “Executed Orders” radio button is selected (see FIG. 29), theOrders View behaves as described above in the “normal” case where thereis no need to distinguish parent orders from executed orders. When the“Parent Orders” radio button is selected, the default/available columnschange slightly as shown below. Note that “executed orders” and “sliceorders” mean the same thing here, and note that “executed” means “sentto Lehman Brothers for execution,” not “filled.”

Double-clicking a row in the Executed Orders view brings up theMonitoring Tab and sets the current order to the associated slice order.If a user double-clicks a row in the Parent Orders view for a parentorder record that has zero residual size and only one associated sliceorder, then the Monitoring Tab is displayed and the current order is setto that slice order. If the user double-clicks a row in the ParentOrders view for a parent order record with residual size and at leastone associated slice order, or for a parent with 2+associated sliceorders, the Monitoring Tab is displayed and the current order is set tothe parent order. If the parent order has no slice orders associatedwith it, double-clicking the row displays the Execution Tab and sets thecurrent order to the parent order.

Finally, although this is not shown in FIG. 29, parent order rows may becolar-coded to distinguish between (a) totally unallocated orders; (b)partially unallocated parent orders; (c) fully allocated parent ordersthat are not 100% complete; and (d) parent orders that are 100%complete.

Default Columns

-   -   Symbol    -   Side    -   Shares    -   % Alloc [=allocated shares/total shares]    -   % Filled [=filled shares/total shares]    -   Slippage [see below]

Additional Columns (optional, default=hidden)

-   -   # Slices [# slice orders associated with parent]    -   Alloc % Filled [filled shares/allocated shares]    -   Load Time [time parent order loaded into SSE]    -   Filled (shares)    -   Allocated (shares)    -   USD Value    -   USD Allocated    -   USD Filled    -   Unfilled (shares)    -   Unallocated (shares)    -   Currency    -   FX    -   % ADV    -   Avg Price    -   Slippage in cents, $, or bps vs various benchmarks:        -   Horizon VWAP        -   All-Day VWAP        -   Horizon Start Price [midpoint at time when order commenced            trading]        -   Prev Close        -   Today's Close [=NA if market still open]    -   1-Day Change ($ change in stock price vs previous close)    -   1-Day % Change (1-Day Change in %)    -   Mkt Volume (today's volume)    -   Status (ACK, Working, Filled, CXLed, others?)    -   % Cons (Filled/market volume during order lifespan)    -   Average Daily Volume (ADV)    -   Average Spread    -   60-day Daily Volatility

Support for Secondary Actions

In one embodiment of SSE, the Execution Tab is used only for pre-trade“what if” analysis and subsequent execution of slices of the parentorder to Lehman. In an embodiment where SSE is also a monitoring toolfor slice orders, the Execution Tab takes on an additional purpose:“what if analysis/decision support for secondary action decisions (”Whatis likely to happen if I correct this slice order to 30 minute VWAP?“)and then a vehicle for conveying these secondary action decisions toLehman.

When current order is pointing to a slice order, the Execution tab looksslightly different than for parent orders. This reflects the change offocus from execution to correction. The differences are as follows:

-   -   “Execute to Lehman” button changes to “Correct Order.” Clicking        this button cancels the executed slice and replaces it with an        order with the strategy choice, channel choice, and parameter        settings shown in the grey dialog area on the left. The user may        be alerted if all settings are identical to those of the current        order.    -   When editing slice size, a user can increase the size up to        current slice size plus the size of any unallocated portion of        the associated parent order. This only applies to slice orders        that are smaller than the parent order size. For example, trader        sends 100,000 shares from OMS into SSE (the parent order), then        executes a 20,000 share slice. A slice order is created in the        SSE data structure associated with the parent order. This slice        can be corrected up to 100,000 (the slice size plus the residual        size of the parent order). If the user executes a second 30,000        slice, then either slice can be corrected up to 50,000 shares.    -   The Cost/Risk chart is adjusted to incorporate realized cost and        risk.

The cost for the graph would be:

[(realized slippage×filled shares)+((realized slippage+PRISEcost)×unfilled shares)]/total shares,

where PRISE cost is the cost estimate given start time now,size=unfilled shares, and duration varies as described above.

The risk for the graph is: [(PRISE risk)×unfilled shares]/total shares,where PRISE risk is the risk estimate given start time now,size=unfilled shares and duration varies as described above.

-   -   The projected execution statistics table expands by three        additional columns as shown in FIG. 30: Original Projection,        Realized, and Projected (Residual). Also, the first column        changes name to “Projected (Total).” The “Residual” column (not        shown) does not change in definition, although the contents may        change if the projection of completion % is revised. Column        definitions are given below.

The definitions for each of the cells in the table are as follows:

Original Projection Column

The entries in this column are just snapshot values from the most recentcorrection (or for the original slice execution if there have been nocorrections).

Realized Column

-   -   Completion % =Filled shares/slice target size    -   Execution Cost=(horizon start benchmark−avg price)×(side=buy?        1:−1)    -   Execution Risk=0    -   Duration=Elapsed time since start of trading    -   Completion Time=NA if order still trading; =time of last fill if        slice order has finished trading    -   Consumption Rate=filled/market volume since start of trading

Projected (Residual) Column

All entries in this column are calculated using the calculationsdescribed above except that target size is set to the residual size ofthe slice order (slice target size−filled shares), and start time is setto current time. For example, if the slice order was a 9:30-2 pm VWAPorder for 100,000 shares and the user consults the Execution tab at 11am after 44,000 shares have filled, then all of the projected completionstatistics are calculated as if the user had submitted a new 11 am-2 pmVWAP order for 56,000 shares.

Projected Total Column

Projected Total column is calculated by taking sums or averages of theabove-described two columns:

-   -   Completion %=Realized Completion %+Residual Completion %    -   Execution Cost=Share-weighted average of Realized Cost &        Residual Cost    -   Execution Risk=Share-weighted average of Realized Risk &        Residual Risk    -   Duration=Realized Duration+Residual Duration    -   Completion Time=Residual Completion Time    -   Consumption Rate=(filled shares+projected fills (from “projected        residual” calculations))/(market volume since start of        trading+projected market volume from now until MIN(must complete        time, projected completion time))

Residual Column

This column is not shown in FIG. 30. It is the residual column describedabove, and is displayed for slice orders as well. As was the case withthe Projected Residual column, all definitions of entries in this columnare as described above, given that start time=now and target size=slicetarget size−filled shares.

The above description has for the most part described embodiments thatpertain to trading a single order in a security. At least one otherembodiment allows a user to invoke the application/interface for abasket of orders. Many traders prefer to combine a basket of securities(baskets also are known as lists, programs, or portfolios) into a singletrade, and would be better served by this basket-level embodiment ratherthan by having to enter each security separately. In this embodiment,data, analytics, graphical displays, and strategy selection parameterspertain to the entire basket. See FIG. 31. For example, the analyticnuggets display cost and risk information for execution of the entirebasket, a suggested hedge for the entire basket, the most illiquid fivenames in the basket, and so on. The display also shows breakdowns ofliquidity, forecasted transaction costs, and/or risk by variouscategories, such as exchange, country, sector, price, etc. The Executiontab (containing the Trading Strategy Selector and the ProjectedExecution Statistics table) is similarly reconfigured to show acombination of basket-level and security-level information. See FIG. 9.The Trading Strategy Selector is further augmented to add controlsallowing a user to provide additional basket-level instructions, such asto maintain dollar-neutrality for the basket within some threshold, orto minimize tracking error relative to some index subject to sometransaction cost constraint. The Projected Completion Statisticspreferably are broken into two sections. One section shows the projectedcost, risk, completion time, and consumption rate for the aggregatebasket. A second section provides the same information at asecurity-by-security level. The Monitoring Tab provides the sameinformation and graphs as the single-stock Monitoring Tab, but showsstatistics and data at the aggregated basket level.

LMX is Lehman Brothers' suite of model-driven order executionstrategies. LMX strategies are designed to reduce market impact anddeliver strong performance relative to the desired benchmark. Thesealgorithms are available as strategies from the invention, but they arenot part of the invention.

Those skilled in the art will be familiar with the various tradingstrategies that can be accessed from the invention, including thestrategies explicitly mentioned herein. However, for those not skilledin the art, some additional information regarding some of the moreeasily explained strategies is provided below.

VWAP stands for volume-weighted average price. This is the average pricefor the stock over a specified time horizon, with more weight given toperiods of heavier trading. The VWAP over any time period is the resultof dividing total dollar volume by total share volume over that timeperiod.

TWAP stands for time-weighted average price, and is a simpler way ofaveraging a stock price over a specified time period. Calculating a TWAPentails dividing the time period into intervals (e.g., minutes), takinga snapshot of the stock price at the end of each interval, and thenaveraging those interval prices. No extra weight is given to any oneinterval, even if an extraordinary number of shares were traded duringthat interval.

The main goal of a VWAP strategy is to minimize slippage relative to theVWAP benchmark over the selected time period. This is achieved byconstructing a trading profile that matches expected market liquidityover time and allocating a greater share of the order to the periods ofthe day that typically attract the highest levels of market activity.The strategy releases slices of the order using this trading profile asa roadmap and continuously monitors short-term indicators to optimizeorder timing and pricing.

The goal of the TWAP strategy is to trade with minimal shortfallrelative to a TWAP benchmark. The TWAP strategy trades at a constantrate during the time period, participating evenly so that the percent ofthe order that is filled at any time during the period matches thepercentage of the time period that has elapsed.

Thus, the TWAP strategy trades at a rate linearly proportional toelapsed time, spreading the trade evenly across a time period. On theother hand, the VWAP strategy tracks an expected volume profile,overweighting the portions of the day that correspond to heaviesttrading.

The objective of the With Volume strategy is to trade in proportion toactual market activity, targeting participation at a certain percentageof overall traded volume. This strategy is also commonly known as aPercent Of Volume (POV) strategy. The user specifies a participationtarget (a percentage) and the strategy tracks the participation target,reacting to actual activity but regulating actions to avoid informationleakage and market impact. For example, if the desired target is 10%,then the strategy will begin trading at the Start Time and willthereafter endeavor to trade the order such that the shares filled forthe order represent 10% of all volume executed on the market since theStart Time.

The Target Strike strategy is designed to minimize implementationshortfall (slippage relative to the security price at the order arrivaltime). The user specifies an urgency level and then the strategy usesthis urgency level to calculate an optimal trade horizon to balanceprice impact against price risk. Once this optimal horizon has beencalculated, the strategy spreads the trade over this horizon, matchingorders to expected liquidity.

Various embodiments described herein are not intended to be mutuallyexclusive; those skilled in the art will recognize that variouscombinations of these and other embodiments are within the scope of theinvention. Although the present invention has been illustrated anddescribed herein with respect to various embodiments, it is not intendedto be limited to the details shown, since various modifications andstructural changes may be made without departing in any way from thespirit of the present invention. Without further analysis, the foregoingwill so fully reveal the gist of the present invention that others can,by applying current knowledge, readily adapt it for various applicationswithout omitting features that, from the standpoint of prior art, fairlyconstitute essential characteristics of the generic or specific aspectsof this invention.

What is claimed as new and desired to be protected by letters patent isset forth in the appended claims.

1. A computer system operable to display a graphical user interfacecomprising a pre-trade analysis component and an strategy selectioncomponent, wherein said pre-trade analysis component is operable todisplay market intelligence information regarding one or moresecurities; and said strategy selection component is operable to displayone or more order execution strategies for selection by a user, andcomprises an order execution component operable to route a selectedorder execution strategy to an order execution system; wherein saidstrategy selection component further comprises an interface for enablinga user to specify one or more trading strategies and strategyrequirements; and wherein said strategy selection component furthercomprises a display operable to display projected order completioninformation based on said user-specified one or more trading strategiesand strategy requirements.
 2. A system as in claim 1, wherein saidpre-trade analysis component is operable to receive from an ordermanagement system data identifying said one or more securities.
 3. Asystem as in claim 1, wherein said pre-trade analysis component isoperable to display liquidity information regarding said one or moresecurities.
 4. A system as in claim 1, wherein said pre-trade analysiscomponent is operable to display performance information regarding saidone or more securities.
 5. A system as in claim 1, wherein saidpre-trade analysis component is operable to display execution riskinformation regarding said one or more securities.
 6. A system as inclaim 1, wherein said strategy selection component is operable todisplay order execution strategy information for said one or moresecurities.
 7. A system as in claim 1, wherein said strategy selectioncomponent comprises an interface for enabling a user to specify one ormore order timing requirements.
 8. A system as in claim 1, wherein saidstrategy selection component comprises an interface for enabling a userto specify one or more order execution channels.
 9. A system as in claim1, wherein said strategy selection component comprises an interface forenabling a user to send an order directly to an order execution system.10. A system as in claim 1, wherein said strategy selection componentcomprises a basic order information display.
 11. A system as in claim 1,wherein said strategy selection component comprises an interface forenabling a user to edit at least one of: order size and price limit. 12.A system as in claim 1, wherein said interface for enabling a user tospecify one or more trading strategy requirements is operable to enablea user to choose one or more trading strategies comprising one or moreVWAP and TWAP strategies.
 13. A system as in claim 12, wherein saidinterface for enabling a user to specify one or more trading strategyrequirements is further operable to allow said user to specify one ormore trading horizons for said user-chosen VWAP and TWAP strategies. 14.A system as in claim 1, wherein said interface for enabling a user tospecify one or more trading strategy requirements is operable to enablesaid user to choose one or more trading strategies comprising one ormore With Volume strategies.
 15. A system as in claim 14, wherein saidinterface for enabling a user to specify one or more trading strategyrequirements is further operable to allow said user to specify one ormore volume participation target rates for said user-chosen With Volumestrategies.
 16. A system as in claim 1, wherein said interface forenabling a user to specify one or more trading strategy requirements isoperable to enable said user to choose one or more trading strategiescomprising one or more Target Strike strategies.
 17. A system as inclaim 16, wherein said interface for enabling a user to specify one ormore trading strategy requirements is further operable to allow saiduser to specify one or more urgency levels for said user-chosen TargetStrike strategies.
 18. A system as in claim 1, wherein said interfacefor enabling a user to specify one or more trading strategy requirementsis operable to enable a user to specify a participation ceiling.
 19. Asystem as in claim 1, wherein said projected order completioninformation comprises one or more of: completion percent, executioncost, execution risk, duration, completion time, and consumption rate.20. A system as in claim 1, wherein said projected order completioninformation comprises residual order information.
 21. A system as inclaim 20, wherein said residual order information comprises at least oneof: residual percent, residual cost, residual risk, and total risk. 22.A system as in claim 1, wherein said projected order completioninformation comprises impact versus execution risk tradeoff information.23. A system as in claim 22, wherein said impact versus execution risktradeoff information is displayed as a chart.
 24. A system as in claim1, wherein said projected order completion information comprises impactcost information.
 25. A system as in claim 24, wherein said impact costinformation is displayed as a chart.
 26. A system as in claim 1, furthercomprising a monitoring component operable to display order progress andperformance information.
 27. A system as in claim 26, wherein saidmonitoring component is operable to display order and slice informationcomprising symbol, side, slice size, and strategy.
 28. A system as inclaim 26, wherein said monitoring component is operable to display quoteinformation and VWAP.
 29. A system as in claim 26, wherein saidmonitoring component is operable to display real time order progressdata.
 30. A system as in claim 29, wherein said real time order progressdata comprises at least one of: percent filled, average price,unrealized average price, and percent consumption.
 31. A system as inclaim 26, wherein said monitoring component is operable to display atrading conditions summary.
 32. A system as in claim 31, wherein saidtrading conditions summary comprises information regarding at least oneof: volume, volatility, and spread over horizon.
 33. A system as inclaim 26, wherein said monitoring component is operable to display achart showing price versus VWAP.
 34. A system as in claim 26, whereinsaid monitoring component is operable to display a chart showing actualversus expected volume.
 35. A system as in claim 1, further comprising aview all orders component operable to display order progress andperformance information for a plurality of orders.